| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 2,964.41% | 2,933.61% |
| CAGR﹪ | 10.76% | 10.72% |
| Sharpe | 0.77 | 0.86 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.84 |
| Sortino | 1.18 | 1.46 |
| Smart Sortino | 1.16 | 1.43 |
| Sortino/√2 | 0.84 | 1.04 |
| Smart Sortino/√2 | 0.82 | 1.01 |
| Omega | 1.76 | 1.93 |
| Max Drawdown | -50.78% | -23.46% |
| Max DD Date | 2009-02-28 | 2000-11-30 |
| Max DD Period Start | 2007-11-30 | 2000-03-31 |
| Max DD Period End | 2012-02-29 | 2003-09-30 |
| Longest DD Days | 2223 | 1279 |
| Volatility (ann.) | 14.76% | 12.82% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.46 |
| Skew | -0.55 | -0.05 |
| Kurtosis | 0.98 | 0.67 |
| Ulcer Performance Index | 211.25 | 398.38 |
| Risk-Adjusted Return | 754.56% | 756.73% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.94% | 0.94% |
| Avg. Win | 3.47% | 3.31% |
| Avg. Loss | -3.96% | -3.38% |
| Win/Loss Ratio | 0.88 | 0.98 |
| Profit Ratio | 0.5 | 0.79 |
| Expected Daily | 0.85% | 0.85% |
| Expected Monthly | 0.85% | 0.85% |
| Expected Yearly | 10.59% | 10.56% |
| Kelly Criterion | 25.25% | 19.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.17% |
| Expected Shortfall (cVaR) | -8.96% | -6.84% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.93 |
| Gain/Pain (1M) | 0.76 | 0.93 |
| Payoff Ratio | 0.88 | 0.98 |
| Profit Factor | 1.76 | 1.93 |
| Common Sense Ratio | 1.85 | 2.5 |
| CPC Index | 1.0 | 1.14 |
| Tail Ratio | 1.05 | 1.29 |
| Outlier Win Ratio | 2.95 | 3.48 |
| Outlier Loss Ratio | 2.93 | 3.12 |
| MTD | -1.05% | -3.64% |
| 3M | 13.91% | 1.95% |
| 6M | 8.94% | 6.89% |
| YTD | 8.94% | 6.89% |
| 1Y | 20.92% | 24.75% |
| 3Y (ann.) | 18.77% | 11.07% |
| 5Y (ann.) | 12.51% | 6.4% |
| 10Y (ann.) | 15.13% | 10.0% |
| All-time (ann.) | 10.76% | 10.72% |
| Best Day | 12.7% | 12.28% |
| Worst Day | -16.52% | -11.44% |
| Best Month | 12.7% | 12.28% |
| Worst Month | -16.52% | -11.44% |
| Best Year | 38.05% | 32.3% |
| Worst Year | -36.79% | -11.0% |
| Avg. Drawdown | -6.27% | -5.65% |
| Avg. Drawdown Days | 122 | 150 |
| Recovery Factor | 7.49 | 15.77 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 11.09 |
| Avg. Up Month | 3.47% | 3.31% |
| Avg. Down Month | -3.96% | -3.38% |
| Win Days | 65.09% | 60.25% |
| Win Month | 65.09% | 60.25% |
| Win Quarter | 73.33% | 70.37% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.37 |
| Alpha | - | 0.07 |
| Correlation | - | 42.91% |
| Treynor Ratio | - | 7874.39% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 18.17 | 2.09 | + |
| 1994 | 0.40 | 2.92 | 7.34 | + |
| 1995 | 38.05 | 12.71 | 0.33 | - |
| 1996 | 22.50 | 11.90 | 0.53 | - |
| 1997 | 33.48 | 16.85 | 0.50 | - |
| 1998 | 28.69 | 5.24 | 0.18 | - |
| 1999 | 20.39 | 23.38 | 1.15 | + |
| 2000 | -9.74 | 0.42 | -0.04 | + |
| 2001 | -11.76 | -2.15 | 0.18 | + |
| 2002 | -21.58 | 14.37 | -0.67 | + |
| 2003 | 28.18 | 24.19 | 0.86 | - |
| 2004 | 10.70 | 12.31 | 1.15 | + |
| 2005 | 4.83 | 9.98 | 2.07 | + |
| 2006 | 15.85 | 24.70 | 1.56 | + |
| 2007 | 5.15 | 29.41 | 5.71 | + |
| 2008 | -36.79 | 6.49 | -0.18 | + |
| 2009 | 26.35 | 10.22 | 0.39 | - |
| 2010 | 15.06 | 14.71 | 0.98 | - |
| 2011 | 1.89 | 1.35 | 0.71 | - |
| 2012 | 15.99 | 2.83 | 0.18 | - |
| 2013 | 32.31 | 26.07 | 0.81 | - |
| 2014 | 13.46 | 5.82 | 0.43 | - |
| 2015 | 1.23 | -7.59 | -6.15 | - |
| 2016 | 12.00 | 8.06 | 0.67 | - |
| 2017 | 21.71 | 17.47 | 0.80 | - |
| 2018 | -4.57 | -3.71 | 0.81 | + |
| 2019 | 31.22 | 7.77 | 0.25 | - |
| 2020 | 18.33 | 32.30 | 1.76 | + |
| 2021 | 28.73 | 18.52 | 0.64 | - |
| 2022 | -18.18 | -11.00 | 0.61 | + |
| 2023 | 26.18 | 4.53 | 0.17 | - |
| 2024 | 24.89 | 7.94 | 0.32 | - |
| 2025 | 17.72 | 22.17 | 1.25 | + |
| 2026 | 8.94 | 6.89 | 0.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-03-31 | 2003-09-30 | -23.46 | 1279 |
| 2008-07-31 | 2009-08-31 | -16.46 | 397 |
| 2022-04-30 | 2024-08-31 | -15.48 | 855 |
| 2015-02-28 | 2017-06-30 | -14.33 | 854 |
| 2018-09-30 | 2020-06-30 | -14.32 | 640 |
| 2010-05-31 | 2010-11-30 | -13.18 | 184 |
| 2004-04-30 | 2004-10-31 | -11.73 | 185 |
| 1994-09-30 | 1995-06-30 | -11.57 | 274 |
| 2011-05-31 | 2013-02-28 | -10.90 | 640 |
| 1996-07-31 | 1996-11-30 | -10.62 | 123 |